Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance View Full Text


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Article Info

DATE

2004-04

AUTHORS

N. C. Framstad, B. Øksendal, A. Sulem

ABSTRACT

We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems.

PAGES

77-98

References to SciGraph publications

  • 1999. Stochastic Controls, Hamiltonian Systems and HJB Equations in NONE
  • 1978. Optimality Conditions in Optimal Control of Jump Processes — Extended Abstract in VORTRÄGE DER JAHRESTAGUNG 1977 / PAPERS OF THE ANNUAL MEETING 1977 DGOR
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1023/b:jota.0000026132.62934.96

    DOI

    http://dx.doi.org/10.1023/b:jota.0000026132.62934.96

    DIMENSIONS

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